A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework

DOI10.1080/14697680903341798zbMath1217.91059OpenAlexW2041906434MaRDI QIDQ3005810

Marianito R. Rodrigo, Rogemar S. Mamon

Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903341798

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Bond pricing formulas for Markov-modulated affine term structure models

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• The Riccati equation in mathematical finance.
• A Theory of the Term Structure of Interest Rates
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Interest rate volatility and the shape of the term structure
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Arbitrage Theory in Continuous Time
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• Stochastic flows and the forward measure

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